mloss.org redsvdhttp://mloss.orgUpdates and additions to redsvdenMon, 30 Aug 2010 18:13:55 -0000redsvd 0.1.0http://mloss.org/software/view/274/<html><p>redsvd is a C++ library for solving several matrix decompositions including singular value decomposition (SVD), principal component analysis (PCA), and eigen value decomposition. redsvd can handle very large matrix efficiently, and optimized for a truncated SVD of sparse matrices. For example, redsvd can compute a truncated SVD with top 20 singular values for a 100K x 100K matrix with 10M nonzero entries in less than two second.
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<p>redsvd uses the algorithm based on the randomized algorithm described in the following paper.
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<p>"Finding structure with randomness: Stochastic algorithms for constructing approximate matrix decompositions", N. Halko, P.G. Martinsson, J. Tropp, arXiv 0909.4061
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<p>Although the original algorithm samples in one way, redsvd samples both rows and columns, and enhance the performance especially for sparse matrices.
</p></html>Daisuke OkanoharaMon, 30 Aug 2010 18:13:55 -0000http://mloss.org/software/rss/comments/274http://mloss.org/software/view/274/matrix factorizationsingular value decompositionsparse